ConnectOne’s Historic Drawdown Meets a Bull‑High‑Vol Surge

Why past pain and current volatility could shape the next 12 months

CNOB ConnectOne Bancorp, Inc.

In this report

01

Returns Overview

Period returns, alpha, cumulative performance, distributions

P. 2-3

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02

Volatility Analysis

Annualized volatility, downside deviation, drawdowns

P. 4-5

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03

Beta & Correlation

Trailing, upside, downside beta, systematic risk

P. 6-7

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04

Risk-Adjusted Returns

Sharpe, Sortino, Calmar, Information, Treynor

P. 8-9

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05

Market Regime Analysis

Bull/bear behavior, capture ratios

P. 10-11

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06

Investment Highlights & Risk Summary

Executive summary, risk flags, rankings

P. 12-13

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Returns Overview

ConnectOne Bancorp, Inc. (CNOB) — Return Performance

ConnectOne Bancorp, Inc. (CNOB) delivered strong absolute performance across all horizons, outpacing its financial services peer group. Over the past month the stock rose 1.96% while generating 4.55% of sector alpha, and over the trailing twelve months it posted a 33.36% gain versus 14.36% sector excess return. The longest‑run track record remains impressive, with a three‑year total return of 98.58% and an accompanying sector alpha of 32.66%, indicating that CNOB has consistently added value relative to its XLF benchmark.

Period Returns vs S&P 500 & XLF

Monthly Returns Heatmap

CNOB

The bank produced positive alpha in every period examined, with the most pronounced outperformance in the three‑year window (32.66% sector alpha) and a solid 21.44% short‑term alpha over six months. While short‑term excess returns were modest (0.57% month‑to‑month), the cumulative upside demonstrates durable relative strength, making CNOB a standout performer within its sector.

Returns Overview

ConnectOne Bancorp, Inc. (CNOB) — Return Charts

Volatility Analysis

ConnectOne Bancorp, Inc. (CNOB) — Volatility Profile

ConnectOne Bancorp, Inc. (CNOB) exhibits markedly higher price volatility than the broad market, with an annualized volatility of 36.28% versus the S&P 500's 17.78%, indicating more than double the fluctuation in its share price. The stock’s downside risk is pronounced: a downside deviation of 26.35% and a historic max drawdown of -68.52% over a two‑year span (March 2018 to March 2020) reflect deep vulnerability during market stress, although the subsequent recovery by September 2021 shows some resilience. Recent short‑term volatility measures are mixed; the 60‑day vol of 25.93% sits below the long‑term annualized level, while the 252‑day vol of 29.07% remains above the historical average, suggesting a modest near‑term calm but persistent elevated risk over the past year.

Volatility Metrics

CNOB

The company’s volatility profile is substantially higher than the S&P 500 benchmark, implying that investors should expect larger price swings for each unit of market movement. Downside metrics reinforce this view: a downside deviation of 26.35% signals that losses are more severe than gains on average, and the -68.52% max drawdown—spanning roughly two years from peak to trough—highlights a significant historical downside episode. While the current 60‑day volatility (25.93%) is lower than the long‑term annualized figure, the 252‑day volatility (29.07%) remains above that benchmark, indicating that recent market conditions have not fully mitigated the stock’s inherent risk.

CNOB's annualized volatility of 36.28% is more than double the S&P 500's 17.78%.
Downside deviation stands at 26.35%, reflecting a higher probability of large losses relative to gains.
The historic max drawdown of -68.52% lasted from March 2018 to March 2020, a two‑year decline period.
Short‑term (60‑day) volatility is below the long‑term average, but one‑year (252‑day) volatility remains elevated.
Recovery from the max drawdown was completed in September 2021, showing that deep declines can be reversed over time.

Positive Characteristics
The recent 60‑day volatility has eased below the long‑term average, suggesting a temporary reduction in short‑term price swings.
The stock fully recovered from its historic drawdown by late 2021, indicating potential for resilience after severe market stress.

Volatility Analysis

ConnectOne Bancorp, Inc. (CNOB) — Volatility & Drawdown Charts

Beta & Correlation

ConnectOne Bancorp, Inc. (CNOB) — Beta Profile

ConnectOne Bancorp’s trailing beta of 1.053 places the stock squarely in the market‑like range (0.8‑1.2), indicating that its price movements have historically tracked the S&P 500 closely, but with a modest tilt toward higher volatility. The upside beta of 1.011 versus a downside beta of 1.11 reveals an asymmetric risk profile: the stock tends to fall slightly more sharply than it rises when broader market moves are negative, a nuance that matters for defensive positioning during bear markets. With an R‑squared of 26.6% against the S&P 500, only about one quarter of CNOB’s price variance is explained by overall market movements, leaving roughly three quarters driven by idiosyncratic factors, which enhances its diversification potential within a broader portfolio. When benchmarked against the Financial Services sector (XLF), CNOB exhibits a higher sector beta of 1.148 and a stronger sector correlation of 0.688, suggesting that sector dynamics contribute more to its risk than the broad market does. The sector R‑squared of 47.4% indicates that nearly half of the stock’s variance is tied to sector performance, while the remaining half stems from company‑specific drivers. This split between systematic (26.6%) and idiosyncratic (73.4%) risk highlights that CNOB’s exposure is more heavily weighted toward firm‑level factors than typical financial stocks, which often show higher market or sector sensitivities.

Beta & Correlation Metrics

CNOB

The trailing beta of 1.053 signals that ConnectOne Bancorp moves in line with the S&P 500 but carries a slight premium of volatility, fitting the profile of a market‑like equity rather than a defensive or aggressively leveraged one. The asymmetric downside beta of 1.11 versus an upside beta of 1.011 means losses tend to be marginally larger than gains on comparable market moves, a characteristic that risk‑averse investors should monitor. Moreover, the relatively low overall R‑squared (26.6%) indicates that most price action is driven by company‑specific events rather than broad market trends, offering diversification benefits but also implying higher exposure to earnings surprises or regulatory changes.

Trailing beta of 1.053 places CNOB in the market‑like volatility band.
Downside beta (1.11) exceeds upside beta (1.011), indicating greater sensitivity to negative market moves.
Only 26.6% of price variance is explained by the S&P 500, leaving 73.4% idiosyncratic risk.
Sector beta of 1.148 and sector R² of 47.4% show that nearly half of the stock’s risk stems from Financial Services dynamics.
Higher sector correlation (0.688) than market correlation (0.516) suggests sector exposure dominates over broad‑market exposure.

Positive Characteristics
Market‑like beta provides familiar risk characteristics for investors accustomed to S&P 500 behavior.
Strong idiosyncratic component (73.4%) enhances diversification within a multi‑asset portfolio.
Sector correlation below 0.7 indicates that while sector moves matter, the stock is not fully tethered to XLF trends.

Beta & Correlation

ConnectOne Bancorp, Inc. (CNOB) — Rolling Beta

Positive Notes

Market‑like beta provides familiar risk characteristics for investors accustomed to S&P 500 behavior.

Strong idiosyncratic component (73.4%) enhances diversification within a multi‑asset portfolio.

Sector correlation below 0.7 indicates that while sector moves matter, the stock is not fully tethered to XLF trends.

Risk-Adjusted Returns

ConnectOne Bancorp, Inc. (CNOB) — Risk-Adjusted Performance

ConnectOne Bancorp, Inc. (CNOB) delivers modest risk-adjusted returns, reflected by a Sharpe ratio of 0.254, well below the benchmark threshold of 1.0 that signals strong risk‑adjusted performance. The Sortino ratio of 0.349 exceeds the Sharpe, indicating that the stock’s downside volatility is lower than its overall volatility and that losses have been relatively contained. However, other metrics—Calmar at 0.187, Information Ratio near zero, and a high Treynor of 8.737—suggest limited upside relative to drawdown severity and negligible consistent alpha generation despite substantial systematic risk exposure.

Risk-free rate: 3.63% (Fed Funds Rate)

Risk-Adjusted Metrics

CNOB

The Sharpe ratio of 0.254 signals that CNOB’s excess return over the 3.63% risk‑free rate is modest when adjusted for total volatility, placing it in an underperforming tier relative to typical equity expectations. The higher Sortino ratio (0.349) reveals a more favorable downside profile; losses have been less volatile than overall price movements, which may appeal to investors wary of severe drawdowns. Nonetheless, the Calmar ratio of 0.187 points to a pronounced sensitivity to peak‑to‑trough declines, implying that periods of loss have eroded a sizable share of returns. An Information Ratio of 0.001 indicates virtually no persistent alpha from active management, while the Treynor ratio of 8.737 shows that the stock has generated substantial return per unit of market beta, albeit with limited risk‑adjusted efficiency.

Sharpe ratio (0.254) is far below the >1.0 benchmark, indicating weak total‑risk adjusted performance.
Sortino ratio exceeds Sharpe, suggesting downside volatility is lower than overall volatility.
Calmar ratio of 0.187 reflects a severe max drawdown relative to average returns.
Information Ratio near zero denotes negligible consistent alpha generation.
High Treynor (8.737) shows strong return per unit of systematic risk but does not translate into superior risk‑adjusted outcomes.

Positive Characteristics
Sortino ratio above Sharpe indicates a relatively controlled downside risk profile.
Treynor ratio demonstrates that the stock compensates investors for its market exposure with appreciable returns.

Risk-Adjusted Returns

ConnectOne Bancorp, Inc. (CNOB) — Rolling Sharpe & Sortino

Positive Notes

Sortino ratio above Sharpe indicates a relatively controlled downside risk profile.

Treynor ratio demonstrates that the stock compensates investors for its market exposure with appreciable returns.

Market Regime Analysis

ConnectOne Bancorp, Inc. (CNOB) — Regime Behavior

ConnectOne Bancorp (CNOB) demonstrates modest resilience across market cycles, delivering near‑market returns in bullish environments and limiting losses during downturns. In Bull-LowVol periods the stock posted an average monthly gain of 2.76%, slightly above its Bull-HighVol return of 2.69%, indicating that heightened volatility does not materially erode upside performance. However, the bank’s defensive characteristics are mixed: while it outperforms in Bear‑LowVol (‑1.09% vs broader market declines) it suffers pronounced losses in Bear‑HighVol regimes (‑4.21%), reflecting sensitivity to stress‑scenario credit and funding pressures common to regional banks.

Current Market Regime: Bull-HighVol

Bull-LowVol = calm uptrend • Bull-HighVol = volatile uptrend • Bear-LowVol = orderly decline • Bear-HighVol = crisis

Regime Returns & Capture Ratios

CNOB

In Bull-LowVol markets CNOB captures 101.1% of the S&P 500’s upside, delivering slightly better returns than the index despite a volatile backdrop. The upside capture remains robust in Bull‑HighVol periods, yet the downside capture climbs to 108.3%, meaning losses exceed market declines when volatility spikes. The resulting capture ratio of 0.93 signals that for each unit of market gain the stock delivers marginally more gain, but for each unit of market loss it incurs a larger loss—a net asymmetry that favors bullish phases but penalizes sharp downturns.

Market Regime Analysis

ConnectOne Bancorp, Inc. (CNOB) — Regime & Capture Charts

Regime Timeline

CNOB’s upside capture exceeds 100% in both bull regimes, confirming strong participation in market rallies.
Downside capture surpasses 108% in bear periods, indicating the stock falls faster than the S&P during declines.
The capture ratio of 0.93 is below the ideal benchmark of >1.0, reflecting a net downside bias.
Performance deteriorates markedly when volatility rises in a bear market, with an average loss of 4.21% per month versus only 1.09% in calm bear conditions.
Current Bull‑HighVol regime aligns with CNOB’s historical 2.69% monthly return, suggesting near‑average upside potential but heightened downside risk if the environment shifts.

Positive Characteristics
Consistently captures full market upside in bullish environments (101.1% upside capture).
Maintains positive average returns (>2.6%) across both low‑ and high‑volatility bull markets.
Defensive performance is relatively better in calm bear periods, limiting losses to just over 1% per month.

Investment Highlights & Risk Summary

ConnectOne Bancorp, Inc. (CNOB) — Summary & Implications

ConnectOne Bancorp delivered a robust 33.36% total return over the past year, generating an absolute alpha of 14.36% versus the S&P 500 and outpacing its financial services peers by 32.8% sector alpha. However, that performance came with pronounced risk: annualized volatility sits at 36.28%, a deep max drawdown of -68.52% was recorded, and the stock’s downside capture (108.3%) exceeds its upside capture (101.1%). The Sharpe ratio of 0.254 and Sortino of 0.349 indicate modest risk‑adjusted returns, well below the conventional benchmark of 1.0 for strong risk‑adjusted performance. Investors should weigh the high return potential against the elevated volatility and asymmetric downside exposure when considering a position in ConnectOne Bancorp.

Summary Dashboard

Investment Highlights

Year‑to‑date total return of 33.36% places the stock well above the S&P 500’s average annual gain, reflecting strong earnings momentum.
Alpha of 14.36% versus the S&P 500 demonstrates that the company has generated excess returns not explained by market movements.
Sector alpha of 32.8% indicates outperformance relative to the XLF financial services index, suggesting a competitive edge within its industry.
Upside capture of 101.1% shows the stock participates fully in market rallies, preserving upside potential despite broader volatility.

Risk-Return Rankings

CNOB HIGH

High return with elevated volatility and a deep historical drawdown creates a risk‑return profile suited to aggressive investors.

Strength: Strong absolute return and sector outperformance (33.36% YTD, 32.8% sector alpha).

Concern: Deep max drawdown of -68.52% and downside capture above 100% signal significant downside risk.

Key Takeaways

ConnectOne Bancorp’s return profile is compelling but driven by high volatility.
The stock’s beta of 1.053 aligns closely with market movements, yet its downside capture exceeds upside capture, indicating asymmetric risk.
Risk‑adjusted metrics (Sharpe 0.254, Sortino 0.349) fall short of traditional thresholds for strong risk efficiency.
Investors should monitor the potential for further drawdowns given the historical -68.5% peak loss.

PORTFOLIO IMPLICATIONS

Given its high volatility and asymmetric downside exposure, ConnectOne Bancorp is best positioned as a satellite holding within an otherwise diversified equity portfolio, preferably paired with lower‑beta, higher‑Sharpe assets to temper overall risk. For investors seeking aggressive growth in the financial services sector, the stock offers attractive upside capture but requires diligent risk management and position sizing to mitigate the possibility of large capital losses.

CNOB

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Report written 2026-06-07 • Finexus

Disclaimer

This report is generated by Finexus and is provided for informational purposes only. It does not constitute investment advice, a recommendation, or an offer or solicitation to buy or sell any security.

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